Create a 16 pixel wide by 16 pixel high favicon.bmp file in a Program like MS-Paint, Adobe Photoshop, or Jasc's Paint Shop Pro, then use a program (such as the free IrFanView app [for Windows]) to reduce the colors to 16 colors [Image -> Decrease Color Depth], and then 'save as...' to a Windows Icon Format (favicon.ico). Upload the file with FTP to the root section of your web site (the first page area, where you put files like index.html). Open up index.html, and add this line after any meta tags in the HEAD section but before the </head>.

Reload the page... and try adding it to your favorites or bookmarks. Once you've added it to the favorites, close the browser and then open it again, and return to the site? Does it show up now? It should! :)